Remarks on drift estimation for diffusion processes

Multiscale Modeling and Simulation

Volumn 8, Issue 1, 2009, Pages 69-95

  Pokern, Yvo ^a   Stuart, Andrew M ^a   Vanden Eijnden, Eric ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Diffusion process; Langevin equation; Maximum likelihood principle; Minimum distance estimator; Molecular dynamics; Nonparametric estimation; Parameter estimation; Reversible diffusion process

Indexed keywords

DIFFUSION PROCESS; LANGEVIN EQUATION; MAXIMUM LIKELIHOOD PRINCIPLE; MINIMUM DISTANCE ESTIMATOR; NONPARAMETRIC ESTIMATION; REVERSIBLE DIFFUSION PROCESS;

DIFFERENTIAL EQUATIONS; DIFFUSION; MAXIMUM LIKELIHOOD ESTIMATION; MOLECULAR DYNAMICS; NUMERICAL METHODS; REGRESSION ANALYSIS;

PARAMETER ESTIMATION;

EID: 73649106013     PISSN: 15403459     EISSN: 15403467     Source Type: Journal    
DOI: 10.1137/070694806     Document Type: Article

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